Tzu-Jui Mao

International Finance Corporations (IFC)

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Asset Pricing Anomalies: Two Hedge Factors with Negative Risk Premia Embedded in Portfolios!

Number of pages: 38 Posted: 16 Jan 2017
Arun Muralidhar, Robert Savickas and Tzu-Jui Mao
AlphaEngine Global Investment Solutions, George Washington University - School of Business - Department of Finance and International Finance Corporations (IFC)
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Abstract:

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Relative Asset Pricing Model, RAPM, Fama-French, Factor-Based Investing, Asset Pricing Model Tests, Negative Risk Premia, Adaptive Markets Hypothesis